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Firenze, 21 Maggio: Seminario su Risk Aggregation and Model Uncertainty
by mariaelvira.mancino＠unifi.it 12 May '14

12 May '14

Il 21 Maggio alle ore 10.30 presso l'aula 003 dell'edificio D4 del Polo delle Scienze Sociali in Via delle Pandette a Firenze Giovanni Puccetti - Università degli Studi di Firenze - terrà un talk su Risk Aggregation and Model Uncertainty: some messages from the methodological front Abstract: We review and discuss some of the most recent mathematical achievements in the field of Risk Aggregation and Model Uncertainty and we discuss their implications on the current Basel regulatory framework, with particular emphasis on VaR/ES risk measurement. Specific issues that will be handled: - How much superadditive can VaR be? - What are the likely constraints with moving from VaR to ES? - Which kind of dependence is implied by a worst-VaR scenario? - What are the available tools to capture the model uncertainty associated with a joint risk position? Tutti gli interessati sono invitati a partecipare.

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6-day intensive course "Advanced Risk and Portfolio Management Bootcamp" by Attilio Meucci (fwd)
by Tiziano Vargiolu 12 May '14

12 May '14

(apologies for cross-posting) ---------- Forwarded message ---------- Date: Mon, 12 May 2014 02:15:44 -0700 (PDT) From: Attilio Meucci <attilio.meucci(a)symmys.com> To: Tiziano Vargiolu <vargiolu(a)math.unipd.it> Subject: 6-day intensive course "Advanced Risk and Portfolio Management Bootcamp" by Attilio Meucci Advanced Risk and Portfolio Management (ARPM) Bootcamp by Attilio Meucci Dates: August 11-16, 2014. Location: New York University 40 CE units CFA Institute, 40 CPE units GARP The ARPM Bootcamp (http://symmys.com/ arpm-bootcamp) provides in-depth understanding of buy-side modeling from the foundations to the latest advanced statistical and optimization techniques, in nine intense, heavily quantitative hours each day, with theory, live simulations, review sessions and exercises. Topics include portfolio construction, factor modeling, copulas, liquidity, risk modeling, and much more. Also features Gala Dinner with world-renowned speakers such as Rob Almgren, Peter Carr, Bruno Dupire, Jim Gatheral, Bob Litterman, Bob Litzenberger, Andrew Lo, Fabio Mercurio, Steven Shreve. See a short video http://www.youtube.com/watch?v=BUnrgjNxBWk To register go to http://www.symmys.com/arpm-bootcamp/registration , or contact us at arpm.bootcamp(a)symmys.com

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[Dynstoch] Newsletter (fwd)
by Tiziano Vargiolu 12 May '14

12 May '14

(again, apologies for cross-posting) ---------- Forwarded message ---------- Date: Sun, 11 May 2014 22:30:52 +0000 From: Dynstoch Newsletter <sci-math-dynstoch(a)list.ku.dk> To: "sci-math-dynstoch(a)list.ku.dk" <sci-math-dynstoch(a)list.ku.dk> Subject: [Dynstoch] Newsletter DYNSTOCH NEWSLETTER 12 April 2014 ************************************************ Workshop on Statistical Inference for L?vy Processes Dates: 22 Sep 2014 - 25 Sep 2014 Location: Lorentz Center, Leiden Website: http://tinyurl.com/ph86pbw Invited speakers: Denis Belomestny (Universit?t Duisburg-Essen) Lo?c Chaumont (Universit? Angers) Jos? Manuel Corcuera (Universitat de Barcelona) Valentine Genon-Catalot (Universit? Paris 5) Marc Hoffmann (Universit? Paris Dauphine) Jean Jacod (Universit? Paris 6 Pierre et Marie Curie) Cecilia Mancini (Universit? degli Studi di Firenze) Yuliya Mishura (Taras Shevchenko National University of Kyiv) Antonis Papapantoleon (Technische Universit?t Berlin) Philip Protter (Columbia University) Markus Rei? (Humboldt-Universit?t zu Berlin) Viktor Todorov (Northwestern University) Mathias Vetter (Philipps-Universit?t Marburg) There is no registration fee. For more information, particularities and registration, see the website. Scientific organisers: Shota Gugushvili (Leiden, The Netherlands), Peter Spreij (Amsterdam, The Netherlands), Aad van der Vaart (Leiden, The Netherlands), Harry van Zanten (Amsterdam, The Netherlands) --------------------------------------------------------------------------- Michael S?rensen, Professor and Associate Chair for Research Dept. of Mathematical Sciences E-mail: michael(a)math.ku.dk University of Copenhagen Tel.: +45 3533 0402 Universitetsparken 5 Fax: +45 3532 9555 DK-2100 Copenhagen ? Web-page: www.math.ku.dk/~michael Denmark Skype: michaelsor1 --------------------------------------------------------------------------- _______________________________________________ sci-math-dynstoch mailing list sci-math-dynstoch(a)list.ku.dk http://list.ku.dk/listinfo/sci-math-dynstoch

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Fwd: AMaMeF: FYI - Call for applications postdoc Université libre de Bruxelles (fwd)
by Tiziano Vargiolu 12 May '14

12 May '14

(apologies for cross-posting) ----- Forwarded message from giulian(a)math.uio.no ----- Date: Sun, 11 May 2014 20:40:01 +0200 From: Giulia Di Nunno <giulian(a)math.uio.no> Subject: AMaMeF: FYI - Call for applications postdoc Universit? libre de Bruxelles To: Giulia Di Nunno <giulian(a)math.uio.no> Cc: Giulia Di Nunno <giulian(a)math.uio.no> > Call for applications: > ARC Postdoctoral Research Fellowship in Mathematical Finance and Insurance > Department of Mathematics, Universit? libre de Bruxelles > Start Date: October 2014 . Duration: 2 years, non-renewable. > Application Deadline: June 15, 2014 > > The Universit? Libre de Bruxelles invites applications for a post-doctoral > fellowship. This postdoctoral position (without teaching load) will be for > two years and will start on the 1st of October 2014. It will be based in the > Actuarial Sciences Unit of the Department of Mathematics. > > The position is funded by the "Action de Recherche Concert?e" grant (ARC) on > "Interaction between Analysis, Probability and Actuarial Sciences" (IAPAS). > > Candidates for the ARC Postdoctoral Fellowship should hold a PhD in > mathematics, statistics, actuarial sciences or a closely related subject and > are expected to have proven research ability in mathematical sciences, as > well as a research interest in mathematical modelling in finance and > insurance. Candidates should have a demonstrated record of research > achievements, as evidenced by journal publications and conference > presentations. A profound knowledge of L?vy processes or Wishart processes > would be favourable. > > Candidates should have demonstrable excellent written and verbal > communication skills (in English), with the ability to give effective > presentations and contribute significantly to the research activities of the > Actuarial Sciences Unit and the Department of Mathematics of the ULB. > > Candidates should apply by email to Griselda.Deelstra(a)ulb.ac.be with a CV, a > list of publications and a research plan before 15 June 2014. > More information about the Department of Mathematics at the ULB can be found > at > http://www.ulb.ac.be/facs/sciences/math/index.html > and the Actuarial Sciences Unit at: > https://www.ulb.ac.be/rech/inventaire/unites/ULB454.html > > For further information contact Professor Griselda Deelstra at > Griselda.Deelstra(a)ulb.ac.be. > See also > http://homepages.ulb.ac.be/~grdeelst/Call_for_applications_postdoc_ULB.pdf > ----- End forwarded message -----

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PhD Position at BCAM-Bilbao on Stochastic Processes for Anomalous Diffusion
by Enrico Scalas 10 May '14

10 May '14

Car* collegh*, vi invio questo annuncio per un dottorato a Bilbao con preghiera di diffusione a eventuali persone interessate. Cordiali saluti, Enrico Scalas ________________________________________ From: Gianni Pagnini [gpagnini(a)bcamath.org] Sent: 10 May 2014 10:14 To: Enrico Scalas Cc: Gianni Pagnini BCAM Subject: PhD Position at BCAM-Bilbao on Stochastic Processes for Anomalous Diffusion Dear Prof. E. Scalas, I send you the announcement of a PhD position at BCAM in Bilbao, Basque Country - Spain, with the request to inform about this anyone that may be interested. Sincerely Yours, Gianni Pagnini --------------- PhD Position at BCAM-Bilbao on Stochastic Processes for Anomalous Diffusion A PhD position is available at BCAM-Bilbao<http://www.bcamath.org/en/> (Basque Country - Spain) to develop a research project on stochastic processes for anomalous diffusion within the Statistical Physics Research Line<http://www.bcamath.org/en/research/lines/SP>. The PhD project is described in the attached document. Application deadline will be June 2, 2014. More details on the PhD position as well as the on-line application (Statistical Physics) are available at: http://www.bcamath.org/en/research/job/phd-student-positions Further information can be requested directly to Gianni Pagnini: gpagnini(a)bcamath.org<mailto:gpagnini@bcamath.org> -- Gianni Pagnini Ikerbasque Research Fellow BCAM - Basque Center for Applied Mathematics Alameda de Mazarredo, 14 E-48009 Bilbao, Basque Country - Spain Tel. +34 946 567 842 gpagnini(a)bcamath.org<mailto:gpagnini@bcamath.org> | www.bcamath.org/gpagnini <http://www.bcamath.org/gpagnini> ( matematika mugaz bestalde )

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Cancellazione mini-corso Bulla@DSS
by Pierpaolo Brutti 10 May '14

10 May '14

Scusandomi ulteriormente per il profluvio di mail riguardanti questo mini-corso, comunico che il corso in questione è stato cancellato per sopraggiunti problemi di salute dello speaker. Buon w.e. --P

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Mini-corso Bulla@DSS :: *iscrizione* & errata corrige
by Pierpaolo Brutti 09 May '14

09 May '14

Scusandomi per il mail-bombing, faccio notare che nella precedente email l'orario della seconda lezione era sbagliato & mancava il link al modulo di iscrizione (...tutto gratis! ma i posti son solo 30...) Pardon... --Pierpaolo ----------------------------------------------------------------------------- A v v i s o d i M i n i - C o r s o ----------------------------------------------------------------------------- Lunedì, 12 Maggio, ore 15:00-17:00 Martedì, 13 Maggio, ore 15:00-17:00 ----------------------------------------------------------------------------- Aula XII (piano terra, palazzina Tuminelli) Dipartimento di Scienze Statistiche Sapienza Università di Roma JAN BULLA (Université de Caén) terrà un mini-corso rivolto principalmente (ma non solo) agli studenti di dottorato dal titolo A GENTLE INTRODUCTION TO HIDDEN MARKOV MODELS Il corso è gratuito ma, dato il numero limitato di posti disponibili in aula, tutti gli interessati sono invitati a **prenotarsi** compilando il seguente form on line: http://goo.gl/a9FCjI Entro Domenica 11/5 verrà inviata conferma dell'effettiva disponibilità del posto richiesto all’indirizzo email fornito. Come sempre “first come, first served”, con possibile piccolo bias in favore di studenti di dottorato. ----------------------------------------------------------------------------- Maggiori informazioni sui seminari e mini-corsi presso il DSS sono consultabili a quest'indirizzo: http://goo.gl/Y6OQYm Saluti Pierpaolo Brutti

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avviso di seminario
by Marco Fuhrman 08 May '14

08 May '14

Il giorno martedi' 20 maggio 2014, alle ore 12:00, il professor Jean Jacod Universite' Pierre et Marie Curie, Paris terra' un seminario dal titolo Is a discretely observed semimartingale of Ito type? presso il Dipartimento di Matematica del Politecnico di Milano (aula seminari "Fausto Saleri", sesto piano). Tutti gli interessati sono cordialmente invitati. Marco Fuhrman Abstract. In high-frequency statistics, and among various hypotheses, the fact that the underlying observed process is an Ito semimartingale is always assumed. However, for financial data for example, prices should be semimartingales (because of the "fundamental asset pricing theorem"), but there is no reason why it should be an Ito semimartingale. So it is important to derive tests for checking whether this assumption is enforced, or not. The problem cannot be solved in full generality, but we will see that under some restrictive structural assumptions, plus the fact that the process is continuous, some tests can be constructed. This is joint work with Yacine Ait-Sahalia.

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Workshop In August at GSSI
by davide gabrielli 08 May '14

08 May '14

Blowup for the equations of Fluid Dynamics and Renormalization Group methods August 18-29, 2014 @GSSI - LAquila The aim of the workshop is to discuss and present to young researchers and PhD students problems connected with singularities of the equations of fluid mechanics, in particular of the NS equations, and their possible application as models of physical phenomena. The School & Workshop will be held at GSSI from August 18 to 29, 2014. Preliminary list of confirmed speakers Susan Friedlander (UCLA) Uriel Frisch (CNRS, Nice) Giovanni Jona-Lasinio (Università di Roma La Sapienza) Konstantin Khanin (Toronto University ), Dong Li (University of British Columbia), Mario Pulvirenti(Università di Roma La Sapienza) Alexander Shnirelman (Concordia University, Montreal), Yakov Sinai (Princeton University) Victor Yakhot (Boston University) Organizing and Scientific Committee Carlo Boldrighini Anna De Masi Errico Presutti Yakov G. Sinai more inftormations at http://www.gssi.infn.it/index.php/en/seminars-and-events-2014/960-blowup-fo…

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Workshop on "Advanced statistical and numerical methods for the analysis of high dimensional functional data" - FIRB SNAPLE closing workshop
by Laura M. Sangalli 08 May '14

08 May '14

------------------------------------------------------------------------ Advanced statistical and numerical methods for the analysis of high dimensional functional data in life sciences and engineering FIRB SNAPLE closing workshop Politecnico di Milano, 15-16 May 2014 ------------------------------------------------------------------------ http://www.mate.polimi.it/snaple2014/ Registration deadline: ***/Tomorrow/, the 9th of May *** There is no registration fee. Registration is nevertheless necessary for organizational reasons. ------------------------------------------------------------------------ This is the third and closing workshop of the starting grant project FIRB Futuro in Ricerca "Advanced statistical and numerical methods for the analysis of high dimensional functional data in life sciences and engineering", funded by MIUR Ministero dell'Istruzione dell'Università e della Ricerca, December 2010 - July 2014: http://mox.polimi.it/users/sangalli/firbSNAPLE.html Soon renamed SNAPLE: Statistical and Numerical methods for the Analysis of Problems in Life sciences and Engineering. SNAPLE aims at providing a substantial contribution to the development of innovative methods for the analysis of high-dimensional functional data, interfacing advanced statistical and numerical techniques. The workshop features talks about some of the achieved results and ongoing investigations of FIRB SNAPLE project, as well as various talks from internationally renowned scientists, with the aim discussing and exchanging ideas on new research perspectives. Invited speakers include: John Aston, Cambridge Marc Genton, KAUST Tilmann Gneiting, Heidelberg Institute for Theoretical Studies (HITS) and Karlsruhe Institute of Techology (KIT) Alberto Guadagnini, Politecnico di Milano Hans-Georg Muller, Universty of California - Davis Fabio Nobile, École Polytechnique Fédérale de Lausanne Davide Pigoli, Cambridge Jim Ramsay, McGill University. Registration to the workshop is free, but attendees are kindly requested to register at conference website: http://www.mate.polimi.it/snaple2014/ Best regards, Laura Sangalli -- Laura Maria Sangalli MOX - Dipartimento di Matematica Politecnico di Milano Piazza Leonardo da Vinci 32 20133 Milano - Italy tel: +39 02 2399 4554 fax: +39 02 2399 4568 email: laura.sangalli(a)polimi.it url: http://mox.polimi.it/~sangalli

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